Mostrar el registro sencillo del ítem

dc.contributorUniversitat Ramon Llull. IQS
dc.contributor.authorGarcía Blandón, Josep
dc.contributor.authorArgilés Bosch, Josep M.
dc.contributor.authorMartínez Blasco, Mònica
dc.date.accessioned2020-04-21T15:11:56Z
dc.date.accessioned2023-07-13T05:44:18Z
dc.date.available2020-04-21T15:11:56Z
dc.date.available2023-07-13T05:44:18Z
dc.date.issued2011-08
dc.identifier.urihttp://hdl.handle.net/20.500.14342/1030
dc.description.abstractDue to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on taxes, the ex-dividend day anomaly has been reported even in countries where neither dividends nor capital gains are taxed. The 2006 tax reform in Spain established the same tax rate for dividends and capital gains. This paper investigates stock returns on ex-dividend days in the Spanish stock market after the 2006 tax reform using a random coefficient model. Contrary to previous research, we do not observe an ex-dividend day anomaly. Unlike previous investigations, which are mostly concerned with suggesting explanations as to why this anomaly has occurred, we are in the somewhat strange position of discussing why this anomaly has not occurred. Our findings are robust across companies and stock dividend yields, thus supporting a tax-based explanation for the ex-dividend day anomaly.eng
dc.format.extent13 p.cat
dc.language.isoengcat
dc.publisherCharles Universitycat
dc.relation.ispartofFinance a úvěr-Czech Journal of Economics and Finance. Vol.61, no.2 (2011), p. 140-152cat
dc.rights© Charles University in Prague. Tots els drets reservats
dc.sourceRECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.otherDividendscat
dc.subject.otherPlusvàluescat
dc.subject.otherEx-dividend dayscat
dc.subject.otherTax-clientele hypothesiscat
dc.subject.otherRandom coefficient modelcat
dc.subject.otherTax neutralitycat
dc.titleEx-dividend day returns when dividend and capital gains are taxed at the same ratecat
dc.typeinfo:eu-repo/semantics/articlecat
dc.typeinfo:eu-repo/semantics/publishedVersioncat
dc.rights.accessLevelinfo:eu-repo/semantics/openAccess
dc.embargo.termscapcat
dc.subject.udc336
dc.identifier.doihttps://doi.org/10.2139/ssrn.1911078cat


Ficheros en el ítem

 

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem

Compartir en TwitterCompartir en LinkedinCompartir en FacebookCompartir en TelegramCompartir en WhatsappImprimir